Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0348 |
| Annualized Std Dev | 0.1847 |
| Annualized Sharpe (Rf=0%) | -0.1882 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4086.0000 |
| NAs | 1.0000 |
| Minimum | -0.1873 |
| Quartile 1 | -0.0038 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0041 |
| Maximum | 0.1792 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0116 |
| Skewness | -1.0530 |
| Kurtosis | 47.1871 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0087 |
| Gain Deviation | 0.0089 |
| Loss Deviation | 0.0108 |
| Downside Deviation (MAR=210%) | 0.0133 |
| Downside Deviation (Rf=0%) | 0.0087 |
| Downside Deviation (0%) | 0.0087 |
| Maximum Drawdown | 0.7053 |
| Historical VaR (95%) | -0.0136 |
| Historical ES (95%) | -0.0284 |
| Modified VaR (95%) | -0.0114 |
| Modified ES (95%) | -0.0114 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-30 | 2008-12-15 | NA | -0.7053 | 3478 | 392 | NA |
| 2005-01-05 | 2005-12-22 | 2007-05-07 | -0.1603 | 587 | 245 | 342 |
| 2007-05-11 | 2007-05-11 | 2007-05-24 | -0.0064 | 10 | 1 | 9 |
| 2004-12-29 | 2004-12-29 | 2005-01-03 | -0.0005 | 4 | 1 | 3 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | NA |
| 2005 | 0 | -0.2 | 1.6 | 0.6 | 0.1 | -0.2 | 0.6 | 0.4 | 0.7 | -0.4 | 0.2 | -0.2 | 3.1 |
| 2006 | 0.3 | 0.7 | 0.6 | 0.5 | 1 | 0.3 | 0.2 | 0.8 | 0.4 | 0.5 | 0.9 | 0.5 | 7.1 |
| 2007 | 0.5 | -0.3 | 0.1 | 0.1 | 0 | -0.2 | 0 | 0.9 | 0.6 | 0.3 | 1 | 1.2 | 4.2 |
| 2008 | -0.1 | -0.9 | 1.9 | 1.5 | -0.1 | -0.7 | 1.1 | -0.2 | 3.9 | 1.8 | -10.9 | -1.7 | -4.8 |
| 2009 | -1 | -2 | 3.6 | 3.6 | 2.9 | 0.1 | 0.7 | -2.5 | -0.5 | -0.4 | 0.9 | -1.3 | 3.8 |
| 2010 | 1.7 | 0.6 | 1 | -0.9 | 0.2 | -0.9 | 1.6 | 0.8 | 1.6 | 1.4 | 0.3 | 0.5 | 8 |
| 2011 | 0.7 | -0.3 | 0.7 | -0.9 | 0.1 | -0.1 | 3.5 | 1 | 0.7 | -1.2 | 1.4 | 0 | 5.7 |
| 2012 | -0.4 | -0.5 | 1.2 | 0 | -0.9 | 0.2 | 0.5 | 0.4 | 1.2 | 1.3 | -0.6 | 2 | 4.4 |
| 2013 | 0.9 | 0.9 | -0.4 | -0.5 | -2.1 | -0.2 | 0.2 | 0.1 | -0.1 | -1.4 | -0.5 | 0 | -3.1 |
| 2014 | 0.3 | 0.7 | -0.5 | -0.5 | -0.6 | 0 | 0 | -0.5 | 0.3 | 0.2 | 0 | 1.3 | 0.8 |
| 2015 | -0.3 | 0.1 | -0.1 | 0.1 | -0.5 | 0.6 | -0.1 | 0.1 | -0.9 | -0.4 | 0.6 | -0.2 | -1 |
| 2016 | -0.5 | 1 | -0.5 | 0.3 | 0.4 | 1.2 | -0.5 | -0.1 | 0.7 | -0.3 | 0.8 | -0.2 | 2.2 |
| 2017 | 0.3 | -0.6 | 0.2 | 0.2 | -0.1 | 1.7 | 0.1 | 0 | 0.3 | -0.3 | 0.2 | 0.6 | 2.7 |
| 2018 | -0.1 | 0.3 | 0.2 | 0.6 | 0.2 | 0.1 | 0.1 | 0 | 0 | 0.4 | -0.1 | -0.7 | 0.9 |
| 2019 | 0.1 | -0.8 | 0.8 | 0.6 | -2.6 | -0.3 | -0.5 | 0.8 | -0.1 | -0.1 | -1.2 | 1.3 | -2.1 |
| 2020 | -0.7 | -4.4 | -1.7 | -1.4 | 1.3 | 0.8 | 0.3 | 5.5 | 0.1 | -0.1 | 0.2 | -0.9 | -1.3 |
| 2021 | 0.8 | 0.8 | 1.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
